The compound Poisson approximation for a portfolio of dependent risks

DOI10.1016/0167-6687(95)00033-XMaRDI QIDQ1921988zbMATH OpenOpenAlexFDO

Authors J. Dhaene, Marc J. Goovaerts

Publication date 9 January 1997

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6687(95)00033-x

zbMATH Keywords

compound Poisson approximationChen-Stein methoddependent risksaggregate claims distributionindividual risk theory modelmutually independent individual risks

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Compound Poisson approximations for individual models with dependent risks.
• Approximation of aggregate claims distributions by compound Poisson distributions
• scientific article; zbMATH DE number 2219622
• scientific article; zbMATH DE number 1979779
• Zur genauigkeit der approximation einer gesamtschadenverteilung durch eine zusammengesetzte poisson-verteilung

Cites work

• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 770083 (Why is no real title available?)
• Error bounds for the compound Poisson approximation
• Poisson approximation and the Chen-Stein method. With comments and a rejoinder by the authors
• Poisson approximation for dependent trials
• Some alternatives for the individual model

Cited in

(26)

• Measuring the impact of dependence between claims occurrences.
• On two dependent individual risk models.
• Two maxentropic approaches to determine the probability density of compound risk losses
• Aggregate survival probability of a portfolio with dependent subportfolios.
• Compound Poisson approximations for individual models with dependent risks.
• Testing independence in bivariate distributions of claim frequencies and severities
• Stop-loss premiums under dependence
• De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
• Normal approximation for random sums
• A flexible model for actuarial risks under dependence
• Compound Poisson approximation: A user's guide
• On the moments and distribution approximations of stochastic aggregate claims with dependence
• Optimization methods for compound Poisson risk processes
• scientific article; zbMATH DE number 1979779 (Why is no real title available?)
• Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
• Optimal dividend payments for a two-dimensional insurance risk process
• Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
• scientific article; zbMATH DE number 2219622 (Why is no real title available?)
• Common mixture in the individual risk model
• On variational bounds in the compound Poisson approximation of the individual risk model
• Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process
• On the evaluation of multivariate compound distributions with continuous severity distributions and Sarmanov's counting distribution
• Some results on ruin probabilities in a two-dimensional risk model.
• The compound Poisson random variable's approximation to the individual risk model
• Ruin probabilities for time-correlated claims in the compound binomial model.
• Compound Poisson and signed compound Poisson approximations to the Markov binomial law

This page was built for publication: The compound Poisson approximation for a portfolio of dependent risks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1921988)